Where Has All the Data Gone?

Maryam Farboodi, Adrien Matray, Laura Veldkamp and Venky Venkateswaran

The Review of Financial Studies, 2022, vol. 35, issue 7, 3101-3138

Abstract: Since the finance industry is transforming into a data industry, measuring the quantity of data investors have about various assets is important. Informed by a structural model, we develop such a cross-sectional measure. We show how our measure differs from price informativeness and use it to document a new fact: data about large high-growth firms is becoming increasingly abundant, relative to data about other firms. Our structural model offers an explanation for this data divergence: large high-growth firms’ data became more valuable, as big firms got bigger and growth magnified the effect of these changes in size.

JEL-codes: G10 G11 G12 G14 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (9)

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